New Regulatory Standards of Trading Books

Measuring market risk
  • The factors of market risk
  • Volatility of P&L
  • Value at Risk (market VaR)
  • The measure and management of market risk in banks (methodology and operational implementation)
  • Regulatory capital on market transactions
  • Counterparty risk on market operations
  • Practical workshop
  • Calculate the individual risk contribution of products to the global risk profile of the portfolio they are part of - contribution to VaR
Financial crisis and the background of regulatory developments
  • Subprime, 2007-2008: origins and mechanics of the crisis, systemic aspects
  • Banking sector, 2008-2009: Lehman Brothers bankruptcy and collapse of banks around the world
  • Sovereign debt, 2009-2011: Greek crisis and contagion to other European countries
New trading books regulations
  • Stressed VaR
  • Specific risk
  • Securitisation exposure via standard market approach
  • Bonds and CDS: Incremental Risk Charge (IRC)
  • Correlation trading: Comprehensive Risk Measure (CRM)
  • Practical workshop
  • Modelling jointly the credit & Market risks in trading books
  • The CRM 'Floor'
  • Practical workshop
  • Calculate capital allocation requirements in standard approach and illustrate challenges and issues
Basel III
  • Introduction to the context of the Basel III reform
  • Liquidity
  • Capital's resilience
  • Counterparty risk

  • Know how to analyse the risk of structured credit products (CDS, CDO, ABS...)
  • Control the impact of different risk factors (spread, default, correlation...)
  • Understand the economic and regulatory context of structured credit products
  • Master the regulatory environment of products that present issuer risk
  • Master the new regulatory standards (IRC, CRM and standard approach)
  • Operational approach of the analysis and management of risk over debt financial instruments (cash and derivatives)
  • Detailed description of the economic and regulatory environment of credit derivatives
  • Risk management
  • Financial directors
  • Traders / Structuring for credit derivative products
  • Middle office
  • Asset managers of toxic portfolios
  • IT
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